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"30E/360 ISDA" - Day Count Examples by ISDA
What "30E/360 ISDA" Day Count examples provided by ISDA?
✍: FYIcenter.com
ISDA (International Swaps and Derivatives Association) offers
a large number of examples on how to calculate DiR(T1,T2) with
the 30E/360 ISDA Day Count Convention as shown below:
Day_Count_Factor(Y1,M1,D1,Y2,M2,D2)
= DiR(Y1,M1,D1,Y2,M2,D2) / 360
DiR(Y1,M1,D1,Y2,M2,D2) = 360×(Y2-Y1) + 30×(M2-M1) + (D2-D1)
where D1 and D2 are adjusted as below:
If T1 is End of Month, set D1 = 30;
If T2 is End of Month,
except it's End of February and the Maturity Date, set D2 = 30.
Y1-M1-D1 Y2-M2-D2 D1 D2 DiR
---------- ---------- -- -- ---
Maturity 2009-08-20
2006-08-20 2007-02-20 20 20 180
2007-02-20 2007-08-20 20 20 180
2007-08-20 2008-02-20 20 20 180
2008-02-20 2008-08-20 20 20 180
2008-08-20 2009-02-20 20 20 180
2009-02-20 2009-08-20 20 20 180
Maturity 2012-02-29
2006-02-28 2006-08-31 30 30 180
2006-08-31 2007-02-28 30 30 180
2007-02-28 2007-08-31 30 30 180
2007-08-31 2008-02-29 30 30 180
2008-02-29 2008-08-31 30 30 180
2008-08-31 2009-02-28 30 30 180
2009-02-28 2009-08-31 30 30 180
2009-08-31 2010-02-28 30 30 180
2010-02-28 2010-08-31 30 30 180
2010-08-31 2011-02-28 30 30 180
2011-02-28 2011-08-31 30 30 180
2011-08-31 2012-02-29 30 29 179
Maturity 2008-02-29
2006-01-31 2006-02-28 30 30 30
2006-01-30 2006-02-28 30 30 30
2006-02-28 2006-03-03 30 3 3
2006-02-14 2006-02-28 14 30 16
2006-09-30 2006-10-31 30 30 30
2006-10-31 2006-11-28 30 28 28
2007-08-31 2008-02-28 30 28 178
2008-02-28 2008-08-28 28 28 180
2008-02-28 2008-08-30 28 30 182
2008-02-28 2008-08-31 28 30 182
2007-02-28 2008-02-28 30 28 358
2007-02-28 2008-02-29 30 29 359
2008-02-29 2009-02-28 30 30 360
2008-02-29 2008-03-30 30 30 30
2008-02-29 2008-03-31 30 30 30
Maturity 2009-02-28
2007-01-15 2007-01-30 15 30 15
2007-01-15 2007-02-15 15 15 30
2007-01-15 2007-07-15 15 15 180
2007-09-30 2008-03-31 30 30 180
2007-09-30 2007-10-31 30 30 30
2007-09-30 2008-09-30 30 30 360
2007-01-15 2007-01-31 15 30 15
2007-01-31 2007-02-28 30 30 30
2007-02-28 2007-03-31 30 30 30
2006-08-31 2007-02-28 30 30 180
2007-02-28 2007-08-31 30 30 180
2007-02-14 2007-02-28 14 30 16
2007-02-26 2008-02-29 26 30 364
2008-02-29 2009-02-28 30 28 358
2008-02-29 2008-03-30 30 30 30
2008-02-29 2008-03-31 30 30 30
2007-02-28 2007-03-05 30 5 5
2007-10-31 2007-11-28 30 28 28
2007-08-31 2008-02-29 30 30 180
2008-02-29 2008-08-31 30 30 180
2008-08-31 2009-02-28 30 28 178
2009-02-28 2009-08-31 30 30 180
You can get a copy of these examples by downloading Excel file provided at https://www.isda.org/a/mIJEE/30-360-2006ISDADefs.xls.
⇒ "30E/360 ISDA" - Whole Accrual Period
⇐ "30E/360 ISDA" - Rules Expressed Differently
2026-02-06, ∼169🔥, 0💬
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